Pathwise no-arbitrage in a class of delta hedging strategies (Q2296083): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Changed an Item
Created claim: Wikidata QID (P12): Q59469132, #quickstatements; #temporary_batch_1726323884171
 
(4 intermediate revisions by 4 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2963253639 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1511.00026 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM / rank
 
Normal rank
Property / cites work
 
Property / cites work: Arbitrage and hedging in a non probabilistic framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pathwise superreplication via Vovk's outer measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing by hedging and no-arbitrage beyond semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic spanning without probabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Arbitrage and duality in nondominated discrete-time models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Change of variable formulas for non-anticipative functionals on path space / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Wiener functionals as Ito integrals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4218398 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Functional Itô calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robustness of the Black and Scholes Formula / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3911166 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4408025 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3966879 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust hedging of the lookback option / rank
 
Normal rank
Property / cites work
 
Property / cites work: Preservation of convexity of solutions to parabolic equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mathematical methods for financial markets. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Classical solutions of path-dependent PDEs and functional forward-backward stochastic systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Uncertain volatility and the risk-free synthesis of derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: BSDE, path-dependent PDE and nonlinear Feynman-Kac formula / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial economics without probabilistic prior assumptions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Model-free CPPI / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a class of generalized Takagi functions with linear pathwise quadratic variation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pathwise no-arbitrage in a class of delta hedging strategies / rank
 
Normal rank
Property / cites work
 
Property / cites work: Model-Free Portfolio Theory and Its Functional Master Formula / rank
 
Normal rank
Property / cites work
 
Property / cites work: Introduction to stochastic calculus for finance. A new didactic approach. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diffusion processes with continuous coefficients, I / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5670045 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Rough paths in idealized financial markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time trading and the emergence of probability / rank
 
Normal rank
Property / cites work
 
Property / cites work: Itô calculus without probability in idealized financial markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4084640 / rank
 
Normal rank
Property / Wikidata QID
 
Property / Wikidata QID: Q59469132 / rank
 
Normal rank

Latest revision as of 15:34, 14 September 2024

scientific article
Language Label Description Also known as
English
Pathwise no-arbitrage in a class of delta hedging strategies
scientific article

    Statements

    Pathwise no-arbitrage in a class of delta hedging strategies (English)
    0 references
    0 references
    0 references
    17 February 2020
    0 references
    pathwise hedging
    0 references
    exotic options
    0 references
    pathwise arbitrage
    0 references
    pathwise Itô calculus
    0 references
    Föllmer integral
    0 references
    local volatility
    0 references
    functional Itô formula
    0 references
    functional Cauchy problem on path space
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references